SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Multi-Period Corporate Failure Prediction with Stochastic Covariates
16 references·16 citing·30 second hopsampled
Multi-Period Corporate Failure Prediction with Stochastic Covariates (2005)Multi-Period Corporate Failure Prediction…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Do Firms Rebalance Their Capital Structures? (2005)Do Firms Rebalance Their Capi…Default Risk in Equity Returns (2004)Default Risk in Equity ReturnsAssessing the Probability of Bankruptcy (2004)Assessing the Probability of …Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)Forecasting Bankruptcy More A…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Agency Costs, Risk Management, and Capital Structure (1998)Agency Costs, Risk Management…Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Dynamic Capital Structure Choice: Theory and Tests (1989)Dynamic Capital Structure Cho…Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Financial Ratios and the Prob…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)FINANCIAL RATIOS, DISCRIMINAN…Financial Ratios As Predictors of Failure (1966)Financial Ratios As Predictor…What Drives the Cross‐Section of Credit Spreads?: A Variance Decomposition Approach (2017)What Drives the Cross‐Section…FIRM DEFAULT AND AGGREGATE FLUCTUATIONS (2013)FIRM DEFAULT AND AGGREGATE FL…Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 (2012)Dynamic Factor Models With Ma…Bankruptcy Prediction Models and the Cost of Debt (2012)Bankruptcy Prediction Models …A Class of Discrete Transformation Survival Models With Application to Default Probability Prediction (2012)A Class of Discrete Transform…Corporate Bond Default Risk: A 150-Year Perspective (2010)Corporate Bond Default Risk: …Bankruptcy prediction in Norway: a comparison study (2010)Bankruptcy prediction in Norw…Correlation in Corporate Defaults: Contagion or Conditional Independence? (2009)Correlation in Corporate Defa…The Aggregate Dynamics of Capital Structure and Macroeconomic Risk (2008)The Aggregate Dynamics of Cap…Modelling Portfolio Defaults Using Hidden Markov Models with Covariates (2008)Modelling Portfolio Defaults …Frailty Correlated Default (2008)Frailty Correlated DefaultCredit cycles and macro fundamentals (2008)Credit cycles and macro funda…The Levered Equity Risk Premium and Credit Spreads: A Unified Framework (2007)The Levered Equity Risk Premi…Correlated Default Risk (2006)Correlated Default RiskCredit risk modeling with affine processes (2005)Credit risk modeling with aff…Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates (2003)Understanding the Role of Rec…Conditional logit analysis of qualitative choice behavior (1972)The Effect of Audit Quality on Earnings Management* (1998)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of rational option pricing (2005)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)The Determinants of Credit Spread Changes (2001)The theory and practice of corporate finance: evidence from the field (2001)An equilibrium characterization of the term structure (1977)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)Forecasting Default with the Merton Distance to Default Model (2008)Modeling Term Structures of Defaultable Bonds (1999)The distribution of realized stock return volatility (2001)In Search of Distress Risk (2008)Managerial incentives and risk-taking☆ (2005)How does financial reporting quality relate to investment efficiency? (2009)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY14,869 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1980Financial Ratios and the Probabilistic Prediction of Bankruptcy6,005 cited
  • 1966Financial Ratios As Predictors of Failure4,753 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 2001Forecasting Bankruptcy More Accurately: A Simple Hazard Model2,655 cited
  • 2004Default Risk in Equity Returns1,997 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 1989Dynamic Capital Structure Choice: Theory and Tests1,572 cited
  • 1998Agency Costs, Risk Management, and Capital Structure1,495 cited
  • 2005Do Firms Rebalance Their Capital Structures?1,495 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2004
Assessing the Probability of Bankruptcy
1,357 cited

Cited by

  • 2010Corporate Bond Default Risk: A 150-Year Perspective175 cited
  • 2005Credit risk modeling with affine processes159 cited
  • 2006Correlated Default Risk133 cited
  • 2008Credit cycles and macro fundamentals126 cited
  • 2007The Levered Equity Risk Premium and Credit Spreads: A Unified Framework123 cited
  • 2003Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates123 cited
  • 2008Frailty Correlated Default116 cited
  • 2008The Aggregate Dynamics of Capital Structure and Macroeconomic Risk97 cited
  • 2013FIRM DEFAULT AND AGGREGATE FLUCTUATIONS80 cited
  • 2017What Drives the Cross‐Section of Credit Spreads?: A Variance Decomposition Approach80 cited
  • 2012Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 200865 cited
  • 2010Bankruptcy prediction in Norway: a comparison study57 cited
  • 2009Correlation in Corporate Defaults: Contagion or Conditional Independence?49 cited
  • 2008Modelling Portfolio Defaults Using Hidden Markov Models with Covariates47 cited
  • 2012A Class of Discrete Transformation Survival Models With Application to Default Probability Prediction43 cited
  • 2012Bankruptcy Prediction Models and the Cost of Debt42 cited